I don't see why that should be the case. You can easily put all your CSS into a single stylesheet, but that might make it difficult for you to manage, and might lead to surfers having to download a lot more bytes than if they were only given styles relevant to the page(s) they visited.

Multiple requests to CSS files are unlikely to be the weak link in the chain when it comes to download speed and responsiveness/latency, unless you've gone seriously overboard with them.

I notice sites using WordPress etc who are quite slow at loading, but it's not so much from the 10 different stylesheets... it's more from the 16 different Javascript calls (many going to other servers) and all the ads that slowly come in from other servers, and the commenting system that's loaded from FaceSpace, etc.

But you can use one stylesheet and the @media setting... means all devices will load the sheet but not run all the styles, but you'll still be sending special calls to IE less than 9 (you'll use CC's for IE anyway). The question always seems to be about, if a browser loads a stylesheet, does it call the images right away? The answer seems to be "no".